The graph above displays the sentiment predicted for 188,638 tweets that contain the keyword “Credit Suisse”, along with the daily stock price change (in %) of Credit Suisse shares. To predict the sentiment of a tweet, I use a Natural Language Processing model trained on financial texts (FinBERT, Araci (2019)).

In the plot, the sentiment measure represents the average sentiment per day of all collected tweets. The sentiment is then weighted by the number of tweets collected that day, divided by the total number of tweets. The measure is normalized (mean subtracted and divided by its standard deviation).1 Higher values correspond to a more positive sentiment, whereas lower values represent a negative sentiment. For the daily change in stock prices, missing values over the weekend are linearly interpolated to improve the readability of the chart. The correlation between the two series is 0.43.

A few notes on the negative spikes in sentiment values in the graph and news media reporting around the same time:

For more information, there is a growing literature that investigates the links between social media on financial markets. See, for example, Goutte (2022), Broadstock and Zhang (2019), Antweiler and Frank (2004), Sprenger et al. (2014).


References and Sources

Antweiler, Werner, and Murray Z Frank. 2004. “Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards.” The Journal of Finance 59 (3): 1259–94.
Araci, Dogu. 2019. “Finbert: Financial Sentiment Analysis with Pre-Trained Language Models.” arXiv Preprint arXiv:1908.10063.
Bloomberg. 2022. “Credit Suisse Reels After Top Shareholder Rules Out Raising Stake.” Retrieved from Https://Www.bloomberg.com/News/Articles/2023-03-15/Credit-Suisse-Top-Shareholder-Rules-Out-More-Assistance-to-Bank-Lf9gfhbr?leadSource=uverify%20wall.
Broadstock, David C, and Dayong Zhang. 2019. “Social-Media and Intraday Stock Returns: The Pricing Power of Sentiment.” Finance Research Letters 30: 116–23.
CNBC. 2022. “Credit Suisse shares pare losses after earlier plunging as much as 10 percent.” Retrieved from Https://Www.cnbc.com/2022/10/03/Credit-Suisse-Seeking-to-Assure-Investors-Amid-Financial-Concerns-Ft.html/.
Credit Suisse. 2022. “Credit Suisse Group announces third quarter 2022 financial results.” Retrieved from Https://Www.credit-Suisse.com/about-Us/En/Media-News/Media-Releases.html/.
Goutte, Maud-Rose. 2022. “Do Actions Speak Louder Than Words? Evidence from Microblogs.” Journal of Behavioral and Experimental Finance 33: 100619.
Reuters. 2022a. “Credit Suisse considers splitting investment bank in three - FT.” Retrieved from Https://Www.reuters.com/Business/Finance/Credit-Suisse-Considers-Splitting-Investment-Bank-Three-Ft-2022-09-22/.
———. 2022b. “Credit Suisse seeks billions from investors in make-or-break shake-up.” Retrieved from Https://Www.reuters.com/Business/Finance/Credit-Suisse-Says-Raise-4-Billion-Francs-Capital-2022-10-27/.
———. 2022c. “Exclusive: Credit Suisse sounds out investors about capital hike.” Retrieved from Https://Www.reuters.com/Business/Finance/Exclusive-Credit-Suisse-Sounds-Out-Investors-about-Capital-Hike-Sources-2022-09-22/.
Sprenger, Timm O, Andranik Tumasjan, Philipp G Sandner, and Isabell M Welpe. 2014. “Tweets and Trades: The Information Content of Stock Microblogs.” European Financial Management 20 (5): 926–57.
Wall Street Journal. 2022. “Credit Suisse Moves Closer to Junk Status.” Retrieved from Https://Www.wsj.com/Livecoverage/Federal-Reserve-Meeting-Interest-Rate-Hike-November-2022/Card/Credit-Suisse-Moves-Closer-to-Junk-Status-hHmtlhRynjdvhWDVgNuG.

  1. The mean and standard deviation are calculated without observations of March 2023.↩︎